Journal of International Financial Markets Institutions & Money最新文献

This study decomposes the overall return comovement into intraday and overnight comovement based on a model-free framework. It shows that intraday return comovement contributes the most to the overall return comovement, but the impact of overnight return comovement is persistent. Investors under the market with asymmetric trading restrictions (ATR) tend to sell stocks early in the market and buy them near the end of the market. This correlated trading behavior contributes to the specific comovement in stock returns, especially the overnight return. Our findings remain solid even after controlling for more stock attributes and changing the proxies for return comovement and investor trading behavior. We also document a weakening (reinforcing) effect of the short-selling mechanism (disposition effect) on the ATR-induced return comovement. Our results provide a deeper understanding of investors’ trading behavior under ultra-short-term trading restrictions and the source of return comovement in the literature.

Recent studies document that cryptocurrencies offer an alternative store of value, medium of exchange and can be used to hedge against currency and price fluctuations. However, the frequent collapse of the crypto-market undermines its safe-haven characteristics, as investors’ fear and anxiety could intensify market volatility and trigger a financial crisis. Motivated by the current global vicissitudes, this study examines the impact of uncertainty and sentiment factors on price behaviour of cryptocurrencies. To estimate our model, we used daily, low, high and closing price data for major crypto projects, from January 2018 to January 2023. We show that economic and political uncertainty factors significantly drive crypto prices. Furthermore, the interaction between sentiment dynamics as expressed by investors on different social platforms has a significant adverse effect on the returns of the cryptocurrency market, and the impact is more pronounced for tokens within the same ecosystem. Using the asymmetric GARCH-MIDAS model and TVP-VAR, we also demonstrate the existence of a significant contagion among tokens within the same ecosystem when bad (or good) news occurs. Considering the massive unprotected losses incurred by crypto investors during crises, our results provide important insights into how portfolio managers can effectively design investment strategies.

We present the first empirical study of the impact of corporate green bond issuance announcements on issuer credit risk, as measured by their CDS spreads. We use a broad international sample of 1,048 green bonds issued between 2013 and 2022 by 200 entities from 26 countries. Our analysis reveals a significant, though not uniform, reaction in the CDSs. The sector of activity emerges as a critical determinant, particularly with respect to environmental exposure. While sectors highly exposed to environmental risk exhibit a reduction in issuer credit risk, all others, especially financial entities, react in the opposite direction. Our study highlights that the impact on credit risk is influenced by several other factors, including the issuer’s overall ESG score, its E score, and various country-level metrics such as development level, environmental performance and political rights. We also identify other factors that affect credit risk, such as green bond ratings and operating cash flow.

We investigate the relationship between political affinity and foreign direct investment (FDI) from the perspective of bilateral relations extending to multilateralism. The bilateral analysis shows that a host country can attract more FDI from a home country with which it has high political affinity. Furthermore, we shed new light on the role of multilateralism and find that multilateral diplomacy helps mitigate the effect of bilateral political affinity on FDI through dialog and consultation based on common interests. Finally, we show that a host country’s institutional quality moderates the relationship between political affinity and FDI. Our analysis highlights the importance of multilateralism in the era of political polarization and deglobalization, which threaten the development of international investment.

Using a unique hand-collected sample of professional connections between finance ministers and the top executives of the three largest credit rating agencies (CRAs) for 38 European sovereigns between January 2000 and November 2017, we show that professional connections result in higher sovereign ratings. This finding is attributed to ‘favoritism’, which stems from the conflict-of-interest problem in the CRA business model. We also find that the subjective component of ratings, captured by professional connections, has a more pronounced role for developing than developed countries. Our study offers new empirical evidence that unsolicited sovereign ratings are significantly lower than solicited ratings. Our results survive battery of robustness checks including propensity score matching (PSM), two-way fixed-effects, system GMM and various definitions of connection. Our findings offer wide-ranging implications for regulators, governments, market participants and CRAs.

This paper investigates the international crash risk and the cross-section of stock index returns. We use the ex-ante model-free negative skewness measured by country-specific index options, proposed in Bakshi et al. (2003), as a proxy of the crash risk. We find that a country’s stock index with a high crash risk relates to a higher stock return as a risk premium across countries. The international crash risk premium exists robustly after controlling for volatility risk, macroeconomic variables, sensitivities to the international risk factors, and realized return moments. In contrast, other international risk premiums do not exist based on the exposure of such control variables. Based on the crash risk premium, we construct international stock trading strategies by sorting option-implied skewness across countries that outperform benchmark strategies by sorting the above control variables.

Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.

This paper conducts a comparative analysis of housing finance markets in the United States, United Kingdom, and Germany, focusing on their responses to market changes and significant external shocks like the Global Financial Crisis (GFC) and the COVID-19 pandemic. It aims to clarify the complex relationship between market dynamics and housing finance structures, as well as the impact of major market shocks on these systems. The study uncovers subtle differences in responses, underscored by governmental interventions, levels of securitisation, and diverse funding models of mortgage originators. It also highlights how regulatory interventions influence variations across markets in specific circumstances such as the GFC and the pandemic. This research contributes valuable insights into the adaptability and resilience of housing finance systems against external shocks, enhancing our understanding of their strengths and vulnerabilities.

This study examines Bitcoin price movements from an infectious disease perspective. The author compares the outbreak of the COVID-19 pandemic with the Bitcoin price explosion and adopts the SIR epidemiological model. The SIR model operates by categorizing the population of individuals into susceptible (S), infected (I), and removed (R). In the case of Bitcoin, open wallets represent the susceptible population, and the infection starts with a single individual. After conducting four estimation trials, the model that uses the recovery rate derived from the Bitcoin price downtrend and the infection rate from the upward trend has the highest accuracy. The estimation deviates from the Bitcoin price explosions by only three days. Previous studies commonly use faster-than-exponential growth or stationarity tests to identify bubble formations. This paper introduces a novel approach that employs epidemiological models to analyze Bitcoin’s explosive price behavior.

This study examines individual expressions of confidence in the World Bank and the International Monetary Fund using the World Values Survey-Wave 7 data to determine whether alignment of individual beliefs with institutional policies supports confidence and whether national borrowing from these institutions with attendant conditionalities erodes confidence. The main hypothesis tested is that confidence in each organization is positively associated with alignment of survey respondents’ economic beliefs and the policies of the organizations. Results indicate that closer alignment of beliefs with organization policies is positively associated with greater confidence but greater national borrowing from either organization erodes confidence. Conditionalities for assistance are resented by citizens in recipient countries.